I think it's arguable whether this is a bug or not.  There's no official specification for the unified diff format that I can find anywhere;  the GNU description at

http://www.gnu.org/software/hello/manual/diff/Detailed-Unified.html#Detailed-Unified

doesn't mention this detail.  The '\ No newline at end of file' is actually unnecessary for these Python functions, since they operate on lists and produce a generator, so it would be needless complication.  And changing this might break existing Python code that manually parses the output of unified_diff or context_diff and doesn't know what to do with a leading '\' character.  (Does such Python code exist?  I don't know.)

I'd suggest adding a keyword argument to the unified_diff and context_diff  functions to enable this feature, leaving it disabled by default.